Tracking per-entry PNL?

[Skifree]

I have a strategy where I am setting stops at increments of an order value, rather than using the absolute pricepoint. To do this, I generate the current profit per order, and then I check to see if the price is a multiple of the increment and if so, set a stop. The problem is that I can't get it right. I've tracked the value in the order signal to compare to NT UI, but there are discrepancies. Should this work?

    
double GetOrderPNLDollars(Order order,OrderRecord orderRecord)
        {
            if(orderRecord.EntryBar == CurrentBar) // just set value to $0 if we're still on the same bar
            {
                return 0;
            }
            else
            {
                    double priceDiff = 0;

                    if(Position.MarketPosition == MarketPosition.Long)
                    {
                        priceDiff = (GetCurrentAsk(0) - orderRecord.EntryPrice) * order.Quantity;
                    }
                    if(Position.MarketPosition == MarketPosition.Short)
                    {
                        priceDiff = (orderRecord.EntryPrice - GetCurrentAsk(0)) * order.Quantity;
                    }
                    // Convert the PNL from ticks to dollars
                    return Math.Round((priceDiff * Bars.Instrument.MasterInstrument.PointValue ),2);    
            }
        }​

screenshot attached showing inconsistency

[NinjaTrader_BrandonH]

Hello Skifree,

Thanks for your post.

I am unsure as to what orderRecord is referring to in the code you shared as this is not a documented/supported method or property. GetOrderPnLDollars() is also not a supported or documented method or property.

To get the price of an entry order that is placed, you could consider tracking the Order object in OnExecutionUpdate() and accessing the Price of the Order object.

For example, you could check if (entryOrder != null && entryOrder == execution.Order), check if the execution.Order.OrderState is OrderState.Filled, and get the execution.Price value. Then you could use the execution.Price value in your calculations.

See the help guide documentation below for more information.

OnExecutionUpdate(): https://ninjatrader.com/support/help...tionupdate.htm
OnOrderUpdate(): https://ninjatrader.com/support/help...rderupdate.htm
SampleOnOrderUpdate(): https://ninjatrader.com/support/help...and_onexec.htm

[Skifree]

Hi,

OrderRecord is just what i use to track info like entry price, per order. However, to get PNL you need more than price difference, but also tick size and value?

[NinjaTrader_BrandonH]

Hello Skifree,

Thanks for your notes.

If you are wanting to get the PnL of a strategy instance you could use GetUnrealizedProfitLoss(). This would return the PnL for the current open strategy position, which could be any number of entries into a direction.

See this help guide page for more information about Position.GetUnrealizedProfitLoss: https://ninjatrader.com/support/help...profitloss.htm

If you would like the Unrealized PnL of each individual entry order for a strategy that is placing multiple entry orders, you would need to calculate this value yourself using your own custom logic.

Something you could consider is to calculate that value by using either the Close price at the time of the entry or the entry's average price, then calculate that value from the current Close price.